The application of continuous-time random walks in finance and economics

Enrico Scalas

doi:10.1016/j.physa.2005.11.024

The application of continuous-time random walks in finance and economics

Enrico Scalas

Risultato della ricerca: Contributo su rivista › Articolo di review › peer review

Abstract

This paper reviews some applications of continuous time random walks (CTRWs) to Finance and Economics. It is divided into two parts. The first part deals with the connection between CTRWs and anomalous diffusion. In particular, a simplified version of the well-scaled transition of CTRWs to the diffusive or hydrodynamic limit is presented. In the second part, applications of CTRWs to the ruin theory of insurance companies, to growth and inequality processes and to the dynamics of prices in financial markets are outlined and briefly discussed.

Lingua originale	Inglese
pagine (da-a)	225-239
Numero di pagine	15
Rivista	Physica A: Statistical Mechanics and its Applications
Volume	362
Numero di pubblicazione	2
DOI	https://doi.org/10.1016/j.physa.2005.11.024
Stato di pubblicazione	Pubblicato - 1 apr 2006
Pubblicato esternamente	Sì

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10.1016/j.physa.2005.11.024

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abstract = "This paper reviews some applications of continuous time random walks (CTRWs) to Finance and Economics. It is divided into two parts. The first part deals with the connection between CTRWs and anomalous diffusion. In particular, a simplified version of the well-scaled transition of CTRWs to the diffusive or hydrodynamic limit is presented. In the second part, applications of CTRWs to the ruin theory of insurance companies, to growth and inequality processes and to the dynamics of prices in financial markets are outlined and briefly discussed.",

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The application of continuous-time random walks in finance and economics

Abstract

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